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06 January 2020

Financial Times: Wall Street banks ramp up research into quantum finance

Some of Wall Street’s biggest banks (Goldman Sachs, JPMorgan and Citigroup) have stepped up their research into quantum computing, signalling growing confidence that recent breakthroughs in the field have laid the foundation for the first practical applications of the revolutionary new computing technology.

The banks’ research efforts centre on trying to design new types of algorithms capable of being run on quantum machines. The first of these involve a class of optimisation problems that take advantage of the probabilistic nature of quantum computing to analyse a large number of possible outcomes and pick the most desirable, rather than following the precise logic paths of traditional computers.

The work has been focused on so-called Monte Carlo simulations, complex calculations that banks normally carry out daily to assess their overall risk positions. The same techniques are used in options pricing. Together, these calculations account for the bulk of the computing power currently used by JPMorgan Chase, said Ning Shen, managing director of quantum research.

Being able to quote prices on complex financial products to customers in real time should also make it possible to “open up bigger markets”, said Mr Burchard. “In order to quote a price to a customer, we have to be able to see all the risks around a trade.”Mr Shen added: “If you can recalibrate your models fast, you can give better execution to clients.” The same technology could also make it possible to optimise the investment portfolios of wealthy clients on a case-by-case basis, he said.

Full article on Financial Times (subscription required)

© Financial Times

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